... emerging and two mature markets, India, South Africa, the UK and the USA, using long-term historical monthly data. Design/methodology/approach To address the issue at hand, copula quantile-on-quantile regression (C-QQR) is used to model the correlation structure. Although this technique is driven...

... (the Pearson’s correlation coefficient, Spearman’s rho and Kendall’s tau) and copula measures of extreme correlations (including the same-direction and cross-tail dependence coefficients) to explore sector diversification opportunities. The paper splits the full sample in three periods, namely, 1995 to 2000...